value approach

International diversiﬁcation has costs and beneﬁts, depending on the degree of asset dependence. In light of theoretical research linking diversiﬁcation and dependence, we examine international diversiﬁcation with two dependence measures: correlations and extreme dependence. We document several ﬁndings. First, dependence has generally increased over time. Second, there is evidence of asymmetric dependence or downside risk …